State Farm Correlations

SFITX Fund

USD 9.58 0.01 0.10%

The current 90-days correlation between State Farm Interim and State Farm Growth is -0.12 (i.e., Good diversification). The correlation of State Farm is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak. If the correlation is 0, the equities are not correlated; they are entirely random.

State Farm Correlation With Market

Good diversification

The correlation between State Farm Interim and DJI is -0.12 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding State Farm Interim and DJI in the same portfolio, assuming nothing else is changed.

Check out World Market Map to better understand how to build diversified portfolios, which includes a position in State Farm Interim. Also, note that the market value of any mutual fund could be closely tied with the direction of predictive economic indicators such as signals in estimate.

Moving together with State Mutual Fund

0.64	SFBDX	State Farm Municipal	Pair Corr
0.84	SIIAX	State Farm International	Pair Corr
0.95	EASDX	Eaton Vance Short	Pair Corr
0.99	VFIRX	Vanguard Short Term	Pair Corr
0.99	VFISX	Vanguard Short Term	Pair Corr
0.98	VSGBX	Vanguard Short Term	Pair Corr
0.96	VSBIX	Vanguard Short Term	Pair Corr
0.98	VSGDX	Vanguard Short Term	Pair Corr
0.99	FUMBX	Fidelity Short Term	Pair Corr
0.89	ECLDX	Eaton Vance Short	Pair Corr
0.95	EALDX	Eaton Vance Short	Pair Corr
0.87	EILDX	Eaton Vance Short	Pair Corr

Moving against State Mutual Fund

0.61	OSPPX	Oppenheimer Steelpath Mlp	Pair Corr
0.61	SPMPX	Invesco Steelpath Mlp	Pair Corr
0.61	SPMJX	Invesco Steelpath Mlp	Pair Corr
0.61	MLPNX	Oppenheimer Steelpath Mlp	Pair Corr
0.6	STFGX	State Farm Growth	Pair Corr
0.53	STFBX	State Farm Balanced	Pair Corr
0.8	SMPSX	Semiconductor Ultrasector	Pair Corr
0.8	AIWEX	World Energy	Pair Corr
0.78	LSHUX	Horizon Spin Off	Pair Corr
0.75	FNPIX	Financials Ultrasector	Pair Corr
0.71	EMO	Clearbridge Energy Mlp	Pair Corr
0.69	ANCFX	American Funds Funda	Pair Corr
0.68	VFIAX	Vanguard 500 Index	Pair Corr
0.68	NOIEX	Northern Income Equity	Pair Corr
0.67	TEGYX	Mid Cap Growth	Pair Corr
0.65	UIGIX	Growth Income	Pair Corr
0.63	AMLPX	Maingate Mlp	Pair Corr
0.62	AOFYX	Alger Small Cap	Pair Corr
0.61	MLPLX	Oppenheimer Steelpath Mlp	Pair Corr
0.61	MLPMX	Oppenheimer Steelpath Mlp	Pair Corr
0.61	FESMX	First Eagle Smid	Pair Corr
0.58	AMCFX	Amcap Fund Class	Pair Corr
0.37	CPRSX	Clarion Partners Real	Pair Corr
0.74	JVLIX	John Hancock Disciplined	Pair Corr
0.74	MCFRX	Pioneer Multi Asset	Pair Corr

Related Correlations Analysis

	STFGX	STFBX	SFBDX	SFITX	SIIAX
STFGX		0.99	0.03	-0.6	-0.51	STFGX
STFBX	0.99		0.09	-0.53	-0.42	STFBX
SFBDX	0.03	0.09		0.64	0.41	SFBDX
SFITX	-0.6	-0.53	0.64		0.84	SFITX
SIIAX	-0.51	-0.42	0.41	0.84		SIIAX
	STFGX	STFBX	SFBDX	SFITX	SIIAX

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Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

STFBX	+ 0.99	STFGX
SIIAX	+ 0.84	SFITX
SFITX	+ 0.64	SFBDX
SIIAX	+ 0.41	SFBDX
SFBDX	+ 0.09	STFBX
SFBDX	+ 0.03	STFGX

High negative correlations

SFITX	- 0.6	STFGX
SFITX	- 0.53	STFBX
SIIAX	- 0.51	STFGX
SIIAX	- 0.42	STFBX

Risk-Adjusted Indicators

There is a big difference between State Mutual Fund performing well and State Farm Mutual Fund doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze State Farm's multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
STFGX	0.43	0.04	0.01	0.15	0.30	(0.52)	0.87	(0.82)	3.20
STFBX	0.33	0.01	(0.09)	0.12	0.20	(0.40)	0.63	(0.57)	2.37
SFBDX	0.12	(0.01)	0.00	0.27	0.00	0.00	0.25	(0.37)	0.99
SFITX	0.11	(0.03)	0.00	1.21	0.00	0.00	0.21	(0.21)	0.62
SIIAX	0.24	(0.04)	0.00	(0.14)	0.00	0.00	0.42	(0.66)	1.89

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